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Background: Severe psychological or mental pain is an experience of discomfort that can be associated with mental illness (such as major depression) or loss (such as the death of a child). Objectives: The aim of this study is to understand the pathology of major depression using a non-clinical student sample by assessing the roles of mental pain, cognitive emotion regulation, self-compassion, and anxiety. Methods: This cross-sectional study selected a sample (n = 300) using a multi-stage random cluster sampling method. Data was collected using the Orbach & Mikulincer Mental Pain Questionnaire (OMMP), the Cognitive Emotion Regulation Questionnaire (CERQ), the Self-Compassion Scale-Short Form (SCS-SF), the Beck Anxiety Inventory (BAI), and the Beck Depression Inventory-II (BD-II). Results: The results of the forward multiple linear regression model showed significant standardized beta coefficients for the following variables: Anxiety and depression (β = 0.21, P = 0.002), mental pain and depression (β = 0.436, P < 0.001), maladaptive cognitive emotion regulation strategies and depression (β = 0.21, P = 0.002), negative dimensions of self-compassion and depression (β = 0.082, p = 0.041), adaptive cognitive emotion regulation strategies and depression (β = -0.135, P = 0.031), and positive dimensions of self-compassion and depression (β = -0.078, P = 0.042). Additionally, the results indicated that 56% of the variance in depression is explained by mental pain, cognitive emotion regulation, self-compassion, and anxiety (P < 0.001). Conclusions: The results of this study indicate that therapies focused on emotional regulation and self-compassion can effectively address emotional problems, anxiety, and depression in individuals with depression. [ABSTRACT FROM AUTHOR]